Bank of America’s latest positioning analysis indicates Commodity Trading Advisors (CTAs) remain heavily short in Treasury futures, with rising yields pushing short-covering triggers further out of reach.
The bank’s model places potential euro buying triggers between 1.1691 and 1.1853, based on a Friday reference level of 1.1679. Trend followers are currently holding stretched EURUSD and CAD shorts, though stop-out risk for the Canadian dollar is assessed as more limited. CTAs also maintain long positions in MXNUSD.
In equities, CTA positioning has reverted to pre-Iran conflict levels. Bank of America estimates global equity selling from a bearish price path could exceed $100 billion. Medium- to longer-term trend followers would accelerate selling following index declines of roughly 3% in the S&P 500, 5% in the Nasdaq-100 and Russell 2000, 4% in the Euro Stoxx 50, and 5% in the Nikkei.
Commodity positioning shows trend followers adding to long positions in oil amid renewed Iran tensions, while gold’s rally has yet to draw significant CTA involvement. Medium- and long-term gold trends remain negative, though the fastest-moving models may begin accumulating longs. Copper and soybean oil positions remain stretched long among trend followers.
Options metrics indicate S&P 500 hedger gamma ended Wednesday at $3.2 billion, with monthly expiry accounting for $0.6 billion of that total. Hedgers are net long approximately 5,000 contracts between strikes 7,550 and 7,750. Options expiring during the Jackson Hole conference on August 27 and 28 collectively contribute roughly $2.8 billion to hedger gamma exposure.
